This is the final study of the ‘Feasibility study for the creation of a CMU Equity Market Index Family’ conducted by CEPS for the Directorate-General for Financial Stability, Financial Services and Capital Markets Union (DG FISMA).
The CMU Equity Market Index Family assessed in the study covers 38 indices, including all share, ESG, SME Growth Market, sectoral, company size, and market size-based indices. They are calculated for both the most liquid stocks and least liquid stocks to promote convergence. For each of the indices the price, gross and net return rates are calculated.
The authors conclude that there is some potential among investors for a CMU Equity Index Family. To some extent, the CMU All Share Index has potential as a benchmark for mutual fund, or to be tracked by ETFs, and this is especially the case for some of the sub-indices. Whether this potential is realised will depend largely on the quality of the index provider, the pricing of the use of the indices and the implementation strategy.
The executive summary can be downloaded here.